| 摘要: |
| 为了使当前流行的各种信用风险模型具有更高的相容性，在系统风险因素和非系统风险因素区别的基础上，建立了一个简单的信用组合风险模型。同时引进边际风险的概念，将边际风险贡献与信用组合风险管理进行了有机的结合。最后对Credit Metrics模型进行了深入剖析，得出该模型仅是信用组合风险模型的一个特例的结论。 |
| 关键词: 信用组合风险 信用组合风险模型 边际风险 |
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| 基金项目:陕西省软科学基金项目“构筑现代农业战略体系研究”(2002KR31) |
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| Design and application of credit portfolio model |
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| Abstract: |
| In order to make popular Credit Risk models more compatibility,we expect to set up a general credit portfolio modeling,which is a basis of system risk factors and non-system risk factors.Meanwhile,the paper introduces the conception of marginal risk and combines marginal risk contribution with credit portfolio risk management.At last,"Credit Metrics" as a special case is analyzed in depth,and the paper applies to a simple factor model. |
| Key words: credit portfolio risk credit portfolio risk models marginal risk |
